How to abstract a functionality so it can run multiple strategy orders using ACSIL?

December 10th, 2018, 12:48 AM

I have an idea on how to implement certain part of my strategy, but I'm not sure how to go about implementing it.

From: www dot sierrachart dot com/ index.php?page=doc/ACSIL_Members_Variables_And_Arrays.html#scVolumeAtPriceForBars

Say I have the following code below (not sure if it is completely correct, but I am trying to get the idea though):

Code

sc.VolumeAtPriceForBars->GetVAPElementAtPrice(sc.Index, scPriceValueToTicks(2450.75))

I want to be able to get the bid volume for that price in the current bar. Based off of that, I want to check if the bid volume is 200 or more. If it is, I want to send a strategy order directly coded in ACSIL (a parent order with attached orders--basically a bracket orders and stops.)

An order of such description could be open for many bars, however, my study could also open many many orders (up to 1000) that each span over many bars.

How would I go about keeping track of all those orders? How would I abstract things so that, if a certain condition happens, the study would go and update one or more of those orders depending on what I want (it could be canceling, changing price up or down, or quantity).

Has anyone perhaps done something resembling this that I can look at their code?

October 12th, 2019, 08:14 AM

Once a parent order is filled, the orderid is read from the NewOrder object, it needs to be kept in a persistent variable for future use.

Code

int ParentInternalOrderID = NewOrder.InternalOrderID;

Let's save that as persistent integer 1:

Code

sc.GetPersistentInt(1) = ParentOrderID;

Later on you can read the persistent integer and cancel it:

Code

sc.CancelOrder(sc.GetPersistentInt(1));

October 12th, 2019, 06:44 PM

doetrader

I have an idea on how to implement certain part of my strategy, but I'm not sure how to go about implementing it.

From: www dot sierrachart dot com/ index.php?page=doc/ACSIL_Members_Variables_And_Arrays.html#scVolumeAtPriceForBars

Say I have the following code below (not sure if it is completely correct, but I am trying to get the idea though):

Code

sc.VolumeAtPriceForBars->GetVAPElementAtPrice(sc.Index, scPriceValueToTicks(2450.75))

I want to be able to get the bid volume for that price in the current bar. Based off of that, I want to check if the bid volume is 200 or more. If it is, I want to send a strategy order directly coded in ACSIL (a parent order with attached orders--basically a bracket orders and stops.)

An order of such description could be open for many bars, however, my study could also open many many orders (up to 1000) that each span over many bars.

How would I go about keeping track of all those orders? How would I abstract things so that, if a certain condition happens, the study would go and update one or more of those orders depending on what I want (it could be canceling, changing price up or down, or quantity).

Has anyone perhaps done something resembling this that I can look at their code?

I coded a system that uses 3 orders and different stop management rules for each order. Here's some description from the code:

//after 8 ticks profit, the stop is raised to -3 ticks from our entry point
//at 17 profit, move up stop on one contract to entry point +10 ticks
//once we are +40, move the 50 target contract stop up to +25 ticks, leave the 80 tick target contract stop at breakeven
//after 68 ticks, the 80 tick target contract's stop is moved to +50

I am very rusty on ACSIL right now because I haven't used it for a few months, but I'm happy to share my code with you so you can learn from my methods.

I haven't tested this with live trading, but it works well in simulation. I've found it to be profitable during certain times for certain markets in certain conditions.

This system enters a trade once a breakout from a time-defined range occurs. There's no secret edge in this code, but the methods used in it could apply to many different trading systems.

Checking the volume as a condition for trade entry shouldn't be difficult.

I would become very familiar with this:
https://www.sierrachart.com/index.php?page=doc/ACSIL_Members_Variables_And_Arrays.html

Send me a PM if you are interested in the code

-LF

How to abstract a functionality so it can run multiple strategy orders using ACSIL?

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How to abstract a functionality so it can run multiple strategy orders using ACSIL?